Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0079 |
| Annualized Std Dev | 0.0824 |
| Annualized Sharpe (Rf=0%) | 0.0964 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3049.0000 |
| NAs | 1.0000 |
| Minimum | -0.0230 |
| Quartile 1 | -0.0030 |
| Median | 0.0002 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0031 |
| Maximum | 0.0267 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0052 |
| Skewness | -0.0946 |
| Kurtosis | 1.7737 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0037 |
| Gain Deviation | 0.0033 |
| Loss Deviation | 0.0035 |
| Downside Deviation (MAR=210%) | 0.0097 |
| Downside Deviation (Rf=0%) | 0.0037 |
| Downside Deviation (0%) | 0.0037 |
| Maximum Drawdown | 0.2042 |
| Historical VaR (95%) | -0.0084 |
| Historical ES (95%) | -0.0118 |
| Modified VaR (95%) | -0.0084 |
| Modified ES (95%) | -0.0122 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-08-18 | 2015-11-10 | 2020-12-17 | -0.2042 | 2350 | 1065 | 1285 |
| 2009-12-02 | 2010-06-07 | 2011-08-15 | -0.1542 | 429 | 128 | 301 |
| 2021-01-06 | 2021-03-08 | NA | -0.0642 | 52 | 42 | NA |
| 2009-02-10 | 2009-03-04 | 2009-03-18 | -0.0471 | 24 | 16 | 8 |
| 2009-03-20 | 2009-04-20 | 2009-05-13 | -0.0442 | 34 | 19 | 15 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | -0.7 | -0.9 | 0.4 | -0.5 | -0.3 | 0.3 | 1.6 | -1.1 | -0.7 | 0 | 0.3 | -0.1 | -1.7 |
| 2010 | 0 | -0.5 | 0.5 | 0.7 | -0.6 | 1.9 | 0.1 | 0.1 | 0.5 | 0 | 0.1 | 1 | 3.8 |
| 2011 | 0.7 | -0.7 | -0.3 | 0.5 | 0.1 | -0.2 | -0.5 | -1.4 | -0.3 | -0.6 | -1 | 1.8 | -1.9 |
| 2012 | 1 | -2.1 | 0.6 | -0.1 | -0.5 | 1.7 | -0.8 | 0.5 | -0.1 | -1.6 | 0 | -0.5 | -2.1 |
| 2013 | -0.1 | 0.1 | 0.4 | 0.3 | -0.2 | 1 | -0.2 | -0.4 | 0.2 | -0.8 | 0.1 | 0 | 0.4 |
| 2014 | 0.2 | 0.3 | 0.3 | -0.2 | 0.1 | 0 | 0.2 | -0.2 | -0.2 | -0.9 | -0.2 | -0.2 | -0.9 |
| 2015 | 0.4 | 0.2 | 0.1 | -0.5 | -1.1 | -0.7 | 0.4 | 0.7 | 0.3 | 0.1 | 0.5 | -0.1 | 0.2 |
| 2016 | 0 | -0.3 | 0.5 | 0.9 | 0.5 | 0.8 | -0.5 | 0.3 | -0.2 | 0.4 | 0.1 | 0.1 | 2.8 |
| 2017 | -0.1 | -0.9 | 0.1 | -0.3 | -0.1 | -0.3 | 0 | 0 | 0.3 | -0.3 | 0.5 | 0.6 | -0.6 |
| 2018 | 0.1 | 0.6 | 0.2 | -0.6 | -0.4 | 0.8 | -0.4 | -0.4 | -0.4 | 0.6 | -0.2 | 0.2 | 0.1 |
| 2019 | -0.2 | -0.2 | -0.4 | -0.1 | 0.7 | -0.8 | 0.5 | -0.4 | 0 | 0.2 | 0.1 | 0.1 | -0.6 |
| 2020 | 0.5 | 0.8 | -0.2 | 0.2 | 0.1 | 0 | -0.6 | 0.1 | 0.3 | -0.2 | 0.2 | -0.3 | 0.8 |
| 2021 | -0.6 | 0.2 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-01-29 47.8 SPY 84.6 -0.0325 0.0218 -0.0272 -0.0982 -0.373 -0.342 -0.254 GLD 89.5 0.0239 0.0582
2 2009-01-30 47.5 SPY 82.8 -0.0203 -0.0034 -0.069 -0.110 -0.397 -0.355 -0.270 GLD 91.3 0.0202 0.0314
3 2009-02-02 47.4 SPY 82.6 -0.003 -0.0131 -0.0849 -0.142 -0.408 -0.352 -0.272 GLD 88.8 -0.0271 -0.00120
4 2009-02-03 47.8 SPY 83.7 0.014 -0.00930 -0.0992 -0.135 -0.392 -0.348 -0.265 GLD 88.5 -0.0042 0.001
5 2009-02-04 47.5 SPY 83.3 -0.0049 -0.0465 -0.102 -0.142 -0.379 -0.343 -0.268 GLD 89.2 0.008 0.0202
6 2009-02-05 47.3 SPY 84.6 0.0149 0.0002 -0.0952 -0.158 -0.364 -0.330 -0.251 GLD 90.1 0.0105 0.0069
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
